Finance

ZETA Move Probability $34.11 +0.55 (+1.7%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
78.1%
Stock touched +5.0% ($35.82) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
40.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.91x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±18.5%
$27.81 — $40.41

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-43.2% to -37.1%: 5 occurrences (1.0%) -40.2% -37.1% to -30.9%: 11 occurrences (2.2%) -30.9% to -24.8%: 9 occurrences (1.8%) -24.8% to -18.6%: 31 occurrences (6.1%) -21.7% -18.6% to -12.4%: 41 occurrences (8.1%) -12.4% to -6.3%: 52 occurrences (10.2%) -6.3% to -0.1%: 85 occurrences (16.7%) -3.2% -0.1% to +6.0%: 76 occurrences (15.0%) +6.0% to +12.2%: 78 occurrences (15.4%) +12.2% to +18.4%: 50 occurrences (9.8%) 15.3% +18.4% to +24.5%: 29 occurrences (5.7%) +24.5% to +30.7%: 20 occurrences (3.9%) +30.7% to +36.8%: 9 occurrences (1.8%) 33.8% +36.8% to +43.0%: 3 occurrences (0.6%) +43.0% to +49.2%: 6 occurrences (1.2%) +49.2% to +55.3%: 3 occurrences (0.6%) 52.2%
Historical returns Target move zone (+5.0%+) Target threshold bin

Probability Breakdown: Empirical vs. Theoretical Models

Comparing actual market back-data against Black-Scholes and Fat-Tail adjustments.

Model / Methodology Touch Probability Expiration Close Probability What It Tells You
Empirical Back-Data (Actual History) 78.1% 40.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 30.1% Adjusts normal bell curve for real-world skewness (-1.46) and kurtosis (17.34).
Standard Normal (Black-Scholes / GBM) 79.2% 39.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 89.1% 55.5% Filters for historical windows that started with volatility similar to current 20-day HV (238 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 78.3%
  • Recent 20-Day HV: 47.9%
  • Parkinson Intraday Volatility: 62.6%
  • Vol Trend: Compressed (-39% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.6%
  • Top 10% Move (90th percentile): +21.7%
  • Bottom 10% Move (10th percentile): -19.1%
  • Max Historical Gain (14d): +55.3%
  • Max Historical Loss (14d): -43.2%